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Risk-sensitive control for a class of homing problems

✍ Scribed by Cloud Makasu

Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
534 KB
Volume
45
Category
Article
ISSN
0005-1098

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✦ Synopsis

A result of Lefebvre [Lefebvre, M. (2001). A different class of homing problems. Systems & Control Letters 42,[347][348][349][350][351][352] is here extended to a two-dimensional homing problem with a risk-sensitive cost criterion. It is shown that the optimal control is given explicitly, and moreover, the optimal value function has a simple probabilistic representation associated with a backward stochastic differential equation with a random terminal time.

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